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~isPartOf:"Banque de France Working Paper"
~isPartOf:"ECB Working Paper"
~isPartOf:"Working papers / Federal Reserve Bank of Philadelphia, Research Department"
~subject:"Credit risk"
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1
Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?
Manganelli, Simone
;
Wolswijk, Guido
-
2007
This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial...
Persistent link: https://www.econbiz.de/10011604791
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2
The term structure of risk premia: new evidence from the financial crisis
Berg, Tobias
-
2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10011605211
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3
Credit and Liquidity Risks in Euro Area Sovereign Yield Curves
Monfort, Alain
-
2011
risk premia that are incorporated in spreads. Once liquidity-
pricing
effects and risk premia are filtered out of the …
Persistent link: https://www.econbiz.de/10013117964
Saved in:
4
Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
Borgy, Vladimir
-
2011
expected default probabilities and thereby spreads towards Germany, assumed to be free of default risk. The
pricing
factors are …
Persistent link: https://www.econbiz.de/10013118736
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5
Default, Liquidity and Crises : An Econometric Framework
Monfort, Alain
-
2011
In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...
Persistent link: https://www.econbiz.de/10013121415
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6
Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob
-
2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056
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7
Pricing
Default Events : Surprise, Exogeneity and Contagion
Gourieroux, Christian
-
2013
exponential
pricing
formula of default does not apply. Using U.S. bond data, we show that allowing for the
pricing
of default …
Persistent link: https://www.econbiz.de/10013074161
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8
An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
Alexopoulou, Ioana
-
2009
turmoil in the summer of 2007 induced a substantial increase in risk aversion and a shift in the
pricing
of credit risk, with …
Persistent link: https://www.econbiz.de/10013156973
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9
Risk Characteristics of Covered Bonds : Monitoring Beyond Ratings
Grothe, Magdalena
-
2020
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012836662
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10
Disastrous Defaults
Gourieroux, Christian
-
2020
on the economy and to be contagious. Bringing macroeconomic structure to a noarbitrage asset-
pricing
framework, we …
Persistent link: https://www.econbiz.de/10012823414
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